A commercial bank has $200 million of four-year maturity floating-rate loans yielding the T-bill rate plus 2 percent. These loans are financed with $200 million of four-year maturity fixed-rate deposits costing 9 percent. The commercial bank can issue four-year variable-rate deposits at the T-bill rate plus 1.5 percent. A savings bank has $200 million of four-year maturity mortgages with a fixed rate of 13 percent. They are financed with $200 million in four-year maturity CDs with a variable rate of the T-bill rate plus 3 percent. The savings bank can issue four-year long-term debt at 12.5 percent. a. Discuss the type of interest rate risk each FI faces. b. Propose a swap that would result in each FI having the same type of asset and liability cash flows. End of Year T-Bill Rate 1. 1.75% 2. 2.00 3. 2.25 4. 2.50 c. Show that this swap would be acceptable to both parties.